Correlation Between Invesco PureBeta and ProShares
Can any of the company-specific risk be diversified away by investing in both Invesco PureBeta and ProShares at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Invesco PureBeta and ProShares into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Invesco PureBeta MSCI and ProShares SP 500, you can compare the effects of market volatilities on Invesco PureBeta and ProShares and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Invesco PureBeta with a short position of ProShares. Check out your portfolio center. Please also check ongoing floating volatility patterns of Invesco PureBeta and ProShares.
Diversification Opportunities for Invesco PureBeta and ProShares
0.87 | Correlation Coefficient |
Very poor diversification
The 3 months correlation between Invesco and ProShares is 0.87. Overlapping area represents the amount of risk that can be diversified away by holding Invesco PureBeta MSCI and ProShares SP 500 in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on ProShares SP 500 and Invesco PureBeta is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Invesco PureBeta MSCI are associated (or correlated) with ProShares. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of ProShares SP 500 has no effect on the direction of Invesco PureBeta i.e., Invesco PureBeta and ProShares go up and down completely randomly.
Pair Corralation between Invesco PureBeta and ProShares
Given the investment horizon of 90 days Invesco PureBeta MSCI is expected to under-perform the ProShares. In addition to that, Invesco PureBeta is 1.03 times more volatile than ProShares SP 500. It trades about -0.17 of its total potential returns per unit of risk. ProShares SP 500 is currently generating about -0.08 per unit of volatility. If you would invest 9,924 in ProShares SP 500 on January 25, 2024 and sell it today you would lose (140.00) from holding ProShares SP 500 or give up 1.41% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Strong |
| Accuracy | 100.0% |
| Values | Daily Returns |
Invesco PureBeta MSCI vs. ProShares SP 500
Performance |
| Timeline |
| Invesco PureBeta MSCI |
| ProShares SP 500 |
Invesco PureBeta and ProShares Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Invesco PureBeta and ProShares
The main advantage of trading using opposite Invesco PureBeta and ProShares positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Invesco PureBeta position performs unexpectedly, ProShares can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in ProShares will offset losses from the drop in ProShares' long position.The idea behind Invesco PureBeta MSCI and ProShares SP 500 pairs trading is to make the combined position market-neutral, meaning the overall market's direction will not affect its win or loss (or potential downside or upside). This can be achieved by designing a pairs trade with two highly correlated stocks or equities that operate in a similar space or sector, making it possible to obtain profits through simple and relatively low-risk investment.| ProShares vs. Hartford Multifactor Emerging | ProShares vs. Hartford Multifactor Developed | ProShares vs. iShares Equity Factor | ProShares vs. SPDR MSCI USA |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
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